The Selecao were seen as the favourites to win this summer's competition in Russia, but failed to progress to the final four as they suffered a 2-1 defeat to Belgium on Friday night.
Marcelo, who lifted his third straight Champions League title with Real Madrid at the end of last season, has said that "it was a horrible night" for Brazil, with the defeat "difficult to explain".
Marcelo told Globo Esporte: "It hurts. It was a horrible night. It is difficult to explain. The result did not come for us. Football is sometimes unfair – sometimes it is in your favour, other times against you.
"We've created a family here. Everyone fought together, even those who did not play were backing us from the bench. We wanted so much to reach the final."
Marcelo struggled with a back problem during the tournament in Russia, but played the full 90 minutes of Friday's quarter-final.